I am working a bit on this paper, which is about Long-run risk through Consumption Smoothing.
In equation (8) and (9) the authors define the stochastic process for the technology as:
$Z_t = exp(\mu ...

I didn't understand how to simulate asset prices by using non normal random numbers.
I am assuming that it would be incorrect to use the standard Geometric Brownian Motion, since it is based solely ...

I am working on some consumption based asset pricing models. I am modelling consumption growth in several different ways. An obvious one is to model consumption growth as an AR(1) process:
$g_{t+1} = ...

I am interested in Bayesian methods in the context of financial economics and quantitative finance and have been looking for research which uses Bayesian parameter estimation on asset pricing models, ...

What is some book that is complete and easy but hard enough to serve as prerequisite for asset pricing and portfolio choice theory by kerry back?
I wonder how come a beginning graduate textbook is so ...

The $\beta_i$ of an asset or portfolio is defined as its covariance with the market (which itself therefore has a beta of $\beta_m = 1$). The CAPM looks a lot like a simple linear regression model. Is ...

Singer-Terhaar is part of CFA II and III curriculum. It estimates risk premium for some asset, traded at some local market, as weighted average of expected premiums for the case of
(1) local market, ...

Assume there are 3 states of the world: w1, w2, and w3. Assume there are two assets: a risk-free asset returning Rf in each state, and a risky asset with Return R1 in state w1, R2 in state w2, and R3 ...

What is the definition of price pressure and what does it imply?
In a number of paper I read that the price pressure can influence the portfolio returns; can you explain why and in which way it can ...

This is important in price discovery and pricing of bonds based on trades. "Odd" lots are traded at lower prices than "round" lots. However I wasn't able to find a definition of "odd" lot anywhere. ...

Suppose it is known that the price of a certain security after one period will be one of the $m$ values $s_1,\ldots,s_m$. What should be the cost of an option to purchase the security at time $1$ for ...

I have encountered a rather elegant argument about the limitations of empirically testing for market efficiency, involving the central point that we do not know whether a result is due to the "true ...

When using asset pricing models such as the CAPM or the Fama-French four factor model to determine the risk-adjusted return of a portfolio, does this strictly require efficient diversification of the ...

This is a generic question about the quotations of assets but for the sake of reducing ambiguity, let's consider the EUR/USD exchange rate. If the answer varies for other asset classes, please note ...

Factor models with factors that are not returns are usually estimated and tested by cross-sectional regressions. However, there is a way to use time-series regression to estimate and test the model. ...

I'm looking for the best way to value a portfolio of consumer loans that have NOT reached maturity and for which I do observe the payment/default history to date?
I'm working with a large database of ...

I have some trouble understanding a chapter in George Pennacchi textbook "Asset Pricing". Here the author shows that the square of a Wiener Process $[dz(t)]^2$ converges to $dt$ for infinitesimally ...

What is the difference between a random process that is adapted to a filteration and one that had the martingale property. It seems the two notions are quite similar and would be helpful to construct ...

As titled, my question consists on asking for why in the most of academic papers one almost always finds that when you try to model asset returns, one needs to adjust for risk factors before analyzing ...

I am a statistician (no solid background in finance). Please forward me to a book \ chapter \ paper to resolve the following general question.
Suppose we have a stock with the following monthly return ...

I want to generate a mock price series. I want it to be within a certain range and have a defined correlation with the original price series.
If I choose, say, oil, I want as many time series which ...

Can options volume affect the underlying asset price indirectly? I know that options buying/selling does not directly affect the price of the underlying asset (rather, the asset price contributes most ...